Why is "www.example.com” not the same as "example.com”?

I have a website. If I login in the domain of this format http://example.com and then change my address to http://www.example.com , i find my account is not logged in. If I change the address to http://example.com , I find my account is logged in.

I contacted my host, they told me its a programming issue.

How can i solve this issue so both addresses represent same access/session/cookies?

I'm using PHP & MySQL

Source: Tips4all